TSMC台積204 T2T3T4
本課程以討論衍生性金融商品定價的實證問題,以Matlab, Gauss 及 VBA 軟體作為資產定價計算之工具, 將從衍生性金融商品有精確解(exact solution)模型談起,進而探討數值解(numerical solution)之模 型,其中包括樹型圖解(tree)、蒙第卡羅法(Monte Carlo)以及有限差分法(finite difference)。討 論的模型從基本的Black-Schole、CRR、Exotic option以及利率模型等。
Course keywords: 樹型圖解(tree), 蒙第卡羅法(Monte Carlo), 有限差分法(finite difference), 精確解(exact solution), 數值解(numerical solution) 一、課程說明(Course Description) 本課程以討論衍生性金融商品定價的實證問題,以Matlab, Gauss 及 VBA 軟體作為資產定價 計算之工具,將從衍生性金融商品有精確解(exact solution)模型談起,進而探討數值解 (numerical solution)之模型,其中包括樹型圖解(tree)、蒙第卡羅法(Monte Carlo)以及有 限差分法(finite difference)。討論的模型從基本的Black-Schole、CRR、Exotic option以 及利率模型等。 二、指定用書(Text Books) Lyuu,Y.D. Financial Engineering & Computation: Principles, Mathematics, Algorithms, 2002, Cambridge University Press. Brandimarte, Paolo, Numerical Methods in Finance, 2002, Wiley Interscience Publication. (滄海書局進口) Hull, John, Options, Futures, and Other Derivatives, 5th Edition, 2003, Prentice Hall. (雙葉書局進口) 三、參考書籍(References) Tavella, Domingo, Quantitative Methods in Derivatives Pricing: An Introduction to Computational Finance, 2002, Wiley. Wilmott, Paul, Paul Wilmott Introduces Quantitative Finance, 2001, John Wiley 四、教學方式(Teaching Method) Lecture 五、教學進度(Syllabus) 1.Exact solution: European (Black&Schole、Merton、Garman&Kohlhage、Black) 2.Binomial Tree: CRR(European、American、Asian) 3.Greek Analysis: Delta, Gamma, Theta, Vega, Rho 4.VaR 5.Monte Carlo: Exotic option、Look-back option 6.Yield curve: Nelson&Siegel 7.Finite Difference: Varsicek 8.Interest Model: CIR、Ho&Lee、Hull&White(Trinomial Tree)、BDT、HJM 9.Jump model: Merton 10.Approximate: Markov Chain、Quadratic 11.Information lecture: Implicit volatility、skewness premium、risk neutral density 六、成績考核(Evaluation) 平時作業與上課參與 20 % 期中考 30 % 期末報告 50 % 七、可連結之網頁位址
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本課程為16週課程
計財系碩士班博士班優先,第3次選課起開放全校修習
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